Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0198
Annualized Std Dev 0.2111
Annualized Sharpe (Rf=0%) -0.0940

Row

Daily Return Statistics

Close
Observations 3517.0000
NAs 1.0000
Minimum -0.1696
Quartile 1 -0.0018
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0023
Maximum 0.1922
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0133
Skewness -0.2124
Kurtosis 52.8725

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0112
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.7019
Historical VaR (95%) -0.0108
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0085
Modified ES (95%) -0.0085
From Trough To Depth Length To Trough Recovery
2007-05-15 2009-03-06 NA -0.7019 3488 457 NA
2007-04-11 2007-05-01 2007-05-14 -0.0073 24 15 9
2007-04-04 2007-04-04 2007-04-10 -0.0028 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.6 -0.9 0.2 -1.4 0.8 -0.1 -2.3 1.8 -7.8 -10
2008 0.6 -1 1.3 -0.5 0.5 -3.1 -0.9 0.9 1.4 0.3 -4.3 2 -2.8
2009 -1.3 -6.7 0.6 -1.2 0.9 0.2 1.6 -3.1 -1.6 -0.2 -0.4 -0.2 -11.1
2010 0.4 -0.1 -0.3 -0.3 -0.7 -0.5 0.3 -0.4 -0.5 -0.4 -0.3 0.4 -2.5
2011 -0.3 -0.9 -0.2 0.3 -0.8 -0.5 0.1 -0.5 -1.2 -2.1 -0.8 0.4 -6.3
2012 -0.1 -0.3 0.2 -0.3 -1.2 0.1 -0.8 0.1 -0.3 -0.2 0 0.3 -2.4
2013 -0.3 -0.1 -0.5 -0.5 -0.9 -0.4 -1.1 0.2 -0.8 -0.3 0.2 -0.1 -4.6
2014 -0.2 0.3 -0.1 -0.4 0 -0.3 -0.7 0 -0.7 0.1 -1 0.1 -2.9
2015 -0.1 0.2 -0.4 -0.7 -0.5 0.1 0.2 -0.8 -0.6 0.2 -0.2 -0.1 -2.6
2016 -0.1 -0.2 -1.1 0.2 -0.3 -0.2 0 -0.6 0.4 -0.6 -1.1 0.2 -3.5
2017 -0.5 -0.8 0.1 0.2 -0.4 0.3 -0.1 -0.6 0 -0.5 -0.3 0 -2.7
2018 -1 -0.6 0.2 -0.4 -0.2 0.2 -0.6 0.3 -1.2 -0.3 -0.2 1 -2.9
2019 -0.9 0.2 0.1 0.2 -0.3 0.1 -0.4 0.1 -0.6 -0.5 -0.3 0.4 -1.8
2020 -0.2 -1 -5.5 -2 -0.4 -0.3 0.3 -0.5 0.2 0 -0.2 0.4 -8.8
2021 0.2 0 0.6 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy  ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>  <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-30  50.1 SPY    142  0.0002 -0.0097    0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  1.40e-3   0.0091
2 2007-04-02  50.2 SPY    142. 0.0011 -0.0073    0.0252  -0.0004   0.0952    0.258    0.241 GLD    65.8  1.70e-3   0.0002
3 2007-04-03  50.4 SPY    144. 0.0108  0.00580   0.0462   0.0146   0.107     0.270    0.261 GLD    65.8 -3.00e-4   0.002 
4 2007-04-04  50.2 SPY    144. 0.0011  0.0143    0.0297   0.0175   0.109     0.264    0.271 GLD    66.8  1.49e-2   0.0115
5 2007-04-05  50.3 SPY    144. 0.0027  0.016     0.0335   0.0181   0.105     0.258    0.280 GLD    66.9  7.00e-4   0.0184
6 2007-04-09  50.3 SPY    144. 0.0014  0.0172    0.0263   0.0278   0.102     0.253    0.282 GLD    66.5 -4.90e-3   0.012 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart